Research Article
The Hesitation of Anxious Traders in an Agent-Based Model
Table 1
Simulations without evolutions. Note: This table reports deviations from fundamentals (differences between the asset price and the fundamental price) and momentum strengths considering various proportions of the anxious agent. The market proportions of the anxious agents lie between 0.5 and 0.9. The indicator of behavioral hesitation (denoted by d) is between 1 and 5. When d equals 1, the expectation for price of the anxious agent can be written as . Hence, the anxious agent does not embody hesitation since the agent only relies on the single-period forecast error in such a case. However, hesitation begins to emerge if d is 2 or over 2 since the agent refers to multiperiod forecast errors. In Panel A, we calculate the mean and the t-statistic of the mean for deviations from the fundamentals. To be precise, in our statistical inferences, we perform a one-sample t-test in each simulation window. After acquiring the t-statistic for each window, we then compute the average of the t-statistics across windows. Such a procedure used to infer the statistical significance can also be found in Gatti and Grazzini [88] and García-Magariño et al. [89]. As for the momentum strength of the asset, we show the results in Panel B. Note that a positive momentum strength denotes price inertia, whereas a negative momentum strength stands for price reversal.
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